QuantLib: a free/open-source library for quantitative finance
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Classes | Public Member Functions | Protected Member Functions | List of all members
AdaptedPathPayoff Class Referenceabstract

#include <ql/experimental/mcbasket/adaptedpathpayoff.hpp>

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Classes

class  ValuationData
 

Public Member Functions

void value (const Matrix &path, const std::vector< Handle< YieldTermStructure > > &forwardTermStructures, Array &payments, Array &exercises, std::vector< Array > &states) const override
 
- Public Member Functions inherited from PathPayoff
virtual ~PathPayoff ()=default
 
virtual std::string name () const =0
 
virtual std::string description () const =0
 
virtual Size basisSystemDimension () const =0
 
virtual void accept (AcyclicVisitor &)
 

Protected Member Functions

virtual void operator() (ValuationData &data) const =0
 

Detailed Description

Definition at line 31 of file adaptedpathpayoff.hpp.

Member Function Documentation

◆ value()

void value ( const Matrix path,
const std::vector< Handle< YieldTermStructure > > &  forwardTermStructures,
Array payments,
Array exercises,
std::vector< Array > &  states 
) const
overridevirtual

Implements PathPayoff.

Definition at line 87 of file adaptedpathpayoff.cpp.

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◆ operator()()

virtual void operator() ( ValuationData data) const
protectedpure virtual
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